Somebody suggest that all the intial values are zero. So I followed this suggestion and used below formulas to compute the forcast in Excel
when t < 46, a(t)=0; when t >= 46, a(t)=X(t) - ar1*X(t-1) - X(t-45) + ar1*X(t-46) + ma1*a(t-1) + sma1*a (t-45) - ma1*sma1*a(t-46); X(predict) = ar1*X(t-1) + X(t-45) - ar1*X(t-46) - ma1*a(t-1) - sma1*a (t-45) + ma1*sma1*a(t-46); But the predict values are not the same as what I got from R software. The time series is non-negative. But there are negative value in what I got from Excel using the above formula. So there must be something wrong. And I just don't where the mistake is. saji from Shanghai On 2月9日, 下午7时54分, Saji Ren <saji....@gmail.com> wrote: > First of all, sorry to *Gerard. > *I have changed my email account, and I don't know how to reply to my posted > thread before. So I just create a new message here. > Thanks again for your help! Now I realized where my mistake is. > I forgot to include the seasonal differencing order. > > After I corrected the formula as below: > (*S-ARIMA(p,d,q)*(P,D,Q)* models, where *p=1,d=0,q=1; P=0,D=1,Q=1;* and *the > seasonal period S=45*.) > > X(t) = X(t-45) + ar1*X(t-1) - ar1*X(t-46) - ma1*a(t-1) - sma1*a(t-45) + > ma1*sma1*a(t-46) + a(t) > > Thus, we get: > > a(t) = X(t) - ar1*X(t-1) - X(t-45) + ar1*X(t-46) + ma1*a(t-1) + sma1*a(t-45) > - ma1*sma1*a(t-46), > *when t>=46*; > > Now my question is that: *What is the initial value of a(t) when t<46? > *And what is the initial setting in R? > > Because R gives a very good forcasting of the analyzed data series, and I > just can not reproduced the results in other software (like EXCEL). > > Hope some one to help! Thanks! > > saji from Shanghai > > [[alternative HTML version deleted]] > > ______________________________________________ > r-h...@r-project.org mailing listhttps://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guidehttp://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
